Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan
Author-Name: David E. Allen
Author-Email: d.allen@ecu.edu.au
Author-Person: pal66 
Author-Workplace-Name: School of Accounting Finance and Economics Edith Cowan University Joondalup Drive Joondalup Western Australia 6027 
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Author-Name: Ju-Ting Tang
Author-Workplace-Name: Department of Applied Economics National Chung Hsing University, Taiwan.
Author-Name: Teodosio Pérez Amaral
Author-Workplace-Name: Departamento de Economía Cuantitativa (Department of Quantitative Economics), 
	Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad 
	Complutense de Madrid
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Title: Risk Modelling and Management: An Overview
Abstract:The papers in this special issue of Mathematics and Computers in Simulation are substantially revised 
	versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling 
	and Management” (RMM2011). The papers cover the following topics: currency hedging strategies using dynamic 
	multivariate GARCH, risk management of risk under the Basel Accord: A Bayesian approach to forecasting 
	value-at-risk of VIX futures, fast clustering of GARCH processes via Gaussian mixture models, GFC-robust 
	risk management under the Basel Accord using extreme value methodologies, volatility spillovers from the 
	Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the dynamics 
	of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting 
	value-at-risk with a duration-based POT method, and extreme market risk and extreme value theory.
Classification-JEL: C14, C32, C53, C58, G11, G32.

Keywords: Currency hedging strategies, Basel Accord, Risk management, Forecasting, VIX futures, Fast clustering, 
	Mixture models, extreme value methodologies, Volatility spillovers, Value-at-Risk, Country risk ratings, 
	BRICS, Extreme market risk.
Note: The authors are grateful to the numerous reviewers for their speed and efficiency, and to the Managing Editor 
	and France Pinon for their assistance in preparing this volume. For financial support, the first author 
	acknowledges the National Science Council, Taiwan, the second author thanks the Australian Research Council, 
	and the third author is grateful to the Australian Research Council, the National Science Council, Taiwan, 
	and the Japan Society for the Promotion of Science.
Length: 10 pages 
Creation-Date: 2013 
Number: 2013-22 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1322.txt
File-URL: https://eprints.ucm.es/id/eprint/22111/1/1322.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1322